This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semi-parametric regression model based on asymmetric Laplace distribution, we propose a family of RES-CAViaR-oc models by adding overnight return and realized measures as a nowcasting technique for simultaneously forecasting Value-at-Risk (VaR) and expected shortfall (ES). We utilize Bayesian methods to estimate unknown parameters and forecast VaR and ES jointly for the proposed model family. We also conduct extensive backtests based on joint elicitability of the pair of VaR and ES during the out-of sample period. Our empirical study on four international stock indices confirms that overnight return and realized volatility are vital in tail risk forecasting.
This paper addresses the problem of target search and tracking using a fleet of cooperating UAVs evolving in some unknown region of interest containing an a priori unknown number of moving ground targets. Each drone is equipped with an embedded Computer Vision System (CVS), providing an image with labeled pixels and a depth map of the observed part of its environment. Moreover, a box containing the corresponding pixels in the image frame is available when a UAV identifies a target. Hypotheses regarding information provided by the pixel classification, depth map construction, and target identification algorithms are proposed to allow its exploitation by set-membership approaches. A set-membership target location estimator is developed using the information provided by the CVS. Each UAV evaluates sets guaranteed to contain the location of the identified targets and a set possibly containing the locations of targets still to be identified. Then, each UAV uses these sets to search and track targets cooperatively.
Due to their flexibility to represent almost any kind of relational data, graph-based models have enjoyed a tremendous success over the past decades. While graphs are inherently only combinatorial objects, however, many prominent analysis tools are based on the algebraic representation of graphs via matrices such as the graph Laplacian, or on associated graph embeddings. Such embeddings associate to each node a set of coordinates in a vector space, a representation which can then be employed for learning tasks such as the classification or alignment of the nodes of the graph. As the geometric picture provided by embedding methods enables the use of a multitude of methods developed for vector space data, embeddings have thus gained interest both from a theoretical as well as a practical perspective. Inspired by trace-optimization problems, often encountered in the analysis of graph-based data, here we present a method to derive ellipsoidal embeddings of the nodes of a graph, in which each node is assigned a set of coordinates on the surface of a hyperellipsoid. Our method may be seen as an alternative to popular spectral embedding techniques, to which it shares certain similarities we discuss. To illustrate the utility of the embedding we conduct a case study in which analyse synthetic and real world networks with modular structure, and compare the results obtained with known methods in the literature.
Dynamical systems across the sciences, from electrical circuits to ecological networks, undergo qualitative and often catastrophic changes in behavior, called bifurcations, when their underlying parameters cross a threshold. Existing methods predict oncoming catastrophes in individual systems but are primarily time-series-based and struggle both to categorize qualitative dynamical regimes across diverse systems and to generalize to real data. To address this challenge, we propose a data-driven, physically-informed deep-learning framework for classifying dynamical regimes and characterizing bifurcation boundaries based on the extraction of topologically invariant features. We focus on the paradigmatic case of the supercritical Hopf bifurcation, which is used to model periodic dynamics across a wide range of applications. Our convolutional attention method is trained with data augmentations that encourage the learning of topological invariants which can be used to detect bifurcation boundaries in unseen systems and to design models of biological systems like oscillatory gene regulatory networks. We further demonstrate our method's use in analyzing real data by recovering distinct proliferation and differentiation dynamics along pancreatic endocrinogenesis trajectory in gene expression space based on single-cell data. Our method provides valuable insights into the qualitative, long-term behavior of a wide range of dynamical systems, and can detect bifurcations or catastrophic transitions in large-scale physical and biological systems.
We formulate a uniform tail bound for empirical processes indexed by a class of functions, in terms of the individual deviations of the functions rather than the worst-case deviation in the considered class. The tail bound is established by introducing an initial "deflation" step to the standard generic chaining argument. The resulting tail bound is the sum of the complexity of the "deflated function class" in terms of a generalization of Talagrand's $\gamma$ functional, and the deviation of the function instance, both of which are formulated based on the natural seminorm induced by the corresponding Cram\'{e}r functions. We also provide certain approximations for the mentioned seminorm when the function class lies in a given (exponential type) Orlicz space, that can be used to make the complexity term and the deviation term more explicit.
Convolutional neural networks (CNNs) represent one of the most widely used neural network architectures, showcasing state-of-the-art performance in computer vision tasks. Although larger CNNs generally exhibit higher accuracy, their size can be effectively reduced by "tensorization" while maintaining accuracy. Tensorization consists of replacing the convolution kernels with compact decompositions such as Tucker, Canonical Polyadic decompositions, or quantum-inspired decompositions such as matrix product states, and directly training the factors in the decompositions to bias the learning towards low-rank decompositions. But why doesn't tensorization seem to impact the accuracy adversely? We explore this by assessing how truncating the convolution kernels of dense (untensorized) CNNs impact their accuracy. Specifically, we truncated the kernels of (i) a vanilla four-layer CNN and (ii) ResNet-50 pre-trained for image classification on CIFAR-10 and CIFAR-100 datasets. We found that kernels (especially those inside deeper layers) could often be truncated along several cuts resulting in significant loss in kernel norm but not in classification accuracy. This suggests that such ``correlation compression'' (underlying tensorization) is an intrinsic feature of how information is encoded in dense CNNs. We also found that aggressively truncated models could often recover the pre-truncation accuracy after only a few epochs of re-training, suggesting that compressing the internal correlations of convolution layers does not often transport the model to a worse minimum. Our results can be applied to tensorize and compress CNN models more effectively.
This paper presents a method for future motion prediction of multi-agent systems by including group formation information and future intent. Formation of groups depends on a physics-based clustering method that follows the agglomerative hierarchical clustering algorithm. We identify clusters that incorporate the minimum cost-to-go function of a relevant optimal control problem as a metric for clustering between the groups among agents, where groups with similar associated costs are assumed to be likely to move together. The cost metric accounts for proximity to other agents as well as the intended goal of each agent. An unscented Kalman filter based approach is used to update the established clusters as well as add new clusters when new information is obtained. Our approach is verified through non-trivial numerical simulations implementing the proposed algorithm on different datasets pertaining to a variety of scenarios and agents.
The Adam optimizer, often used in Machine Learning for neural network training, corresponds to an underlying ordinary differential equation (ODE) in the limit of very small learning rates. This work shows that the classical Adam algorithm is a first order implicit-explicit (IMEX) Euler discretization of the underlying ODE. Employing the time discretization point of view, we propose new extensions of the Adam scheme obtained by using higher order IMEX methods to solve the ODE. Based on this approach, we derive a new optimization algorithm for neural network training that performs better than classical Adam on several regression and classification problems.
While graph convolutional networks show great practical promises, the theoretical understanding of their generalization properties as a function of the number of samples is still in its infancy compared to the more broadly studied case of supervised fully connected neural networks. In this article, we predict the performances of a single-layer graph convolutional network (GCN) trained on data produced by attributed stochastic block models (SBMs) in the high-dimensional limit. Previously, only ridge regression on contextual-SBM (CSBM) has been considered in Shi et al. 2022; we generalize the analysis to arbitrary convex loss and regularization for the CSBM and add the analysis for another data model, the neural-prior SBM. We also study the high signal-to-noise ratio limit, detail the convergence rates of the GCN and show that, while consistent, it does not reach the Bayes-optimal rate for any of the considered cases.
We propose a material design method via gradient-based optimization on compositions, overcoming the limitations of traditional methods: exhaustive database searches and conditional generation models. It optimizes inputs via backpropagation, aligning the model's output closely with the target property and facilitating the discovery of unlisted materials and precise property determination. Our method is also capable of adaptive optimization under new conditions without retraining. Applying to exploring high-Tc superconductors, we identified potential compositions beyond existing databases and discovered new hydrogen superconductors via conditional optimization. This method is versatile and significantly advances material design by enabling efficient, extensive searches and adaptability to new constraints.
In sound event detection (SED), convolution neural networks (CNNs) are widely used to extract time-frequency patterns from the input spectrogram. However, features extracted by CNN can be insensitive to the shift of time-frequency patterns along the frequency axis. To address this issue, frequency dynamic convolution (FDY) has been proposed, which applies different kernels to different frequency components. Compared to the vannila CNN, FDY requires several times more parameters. In this paper, a more efficient solution named frequency-aware convolution (FAC) is proposed. In FAC, frequency-positional information is encoded in a vector and added to the input spectrogram. To match the amplitude of input, the encoding vector is scaled adaptively and channel-independently. Experiments are carried out in the context of DCASE 2022 task 4, and the results demonstrate that FAC can achieve comparable performance to that of FDY with only 515 additional parameters, while FDY requires 8.02 million additional parameters. The ablation study shows that scaling the encoding vector adaptively and channel-independently is critical to the performance of FAC.